There exists only two risky assets with returns r1 and r2 and a risk free rate rf. You are splitting your wealth
only between the two risky assets. compute the portfolio with the highest sharpe ratio.
(Note: you cannot use any specific number to show something)
question: how to use the expected excess returns to write a maximum lagrangian problem? Or, do I need to calculate the minimum portfolio variance first and then solve the optimal choice to get the final portfolio?